How can we build shape keys for protruding eyes?
Click the 'Apply Shape Keys in Edit Mode' button right after you make a new Shape Key, so that your shape key is based on the previously made shape key(s).


Also, depending on how your rig is going to be setup, you may have to change the shape keys to blend relative to the previous position, rather than 'Basis' in the blend section too.  But it depends on how you want your bone controls to drive the shape keys.